India NSE Volatility Index

CBOE Emerging Market Markets Volatility Index

How volatility evolves over time

How illiquidity evolves over time

{name} Model Equation

How returns affect tomorrow's volatility

How returns affect tomorrow's illiquidity

Spline Coefficients

Value at Risk (VaR) estimates the maximum loss at a given confidence level. Expected Shortfall (ES) estimates the average loss beyond VaR.

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Param	Value	t-stat
ωlong-run	13.5536	6.20***
αscore	0.2135	0.78
βpersistence	0.1683	0.60
νDF	120.9078	0.02

Parameter	Value	t-statistic
ω long-run Long-run variance given a price move	13.5536	6.20***
α score Weight on the scaled score	0.2135	0.78
β persistence Volatility persistence	0.1683	0.60
ν DF Student-t tail thickness	120.9078	0.02

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